The Minimal Entropy Martingale Measure (MEMM) for a Markov-Modulated Exponential Lévy Model
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- Robert J. Elliott & Leunglung Chan & Tak Kuen Siu, 2005. "Option pricing and Esscher transform under regime switching," Annals of Finance, Springer, vol. 1(4), pages 423-432, October.
- Robert Elliott & Carlton-James Osakwe, 2006. "Option Pricing for Pure Jump Processes with Markov Switching Compensators," Finance and Stochastics, Springer, vol. 10(2), pages 250-275, April.
- Martin Schweizer, 1994. "Risk-Minimizing Hedging Strategies Under Restricted Information," Mathematical Finance, Wiley Blackwell, vol. 4(4), pages 327-342.
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- Pious Asiimwe & Charles Wilson Mahera & Olivier Menoukeu-Pamen, 2016. "On the Price of Risk Under a Regime Switching CGMY Process," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(4), pages 305-335, December.
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KeywordsIncomplete markets; Minimal entropy martingale measure; Markov additive process; Lévy process; Regime-switching model;
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